Brent Crude

About: Brent Crude is a research topic. Over the lifetime, 548 publications have been published within this topic receiving 9879 citations.

Do oil price shocks give impact on financial performance of manufacturing sectors in indonesia

Abstract: The panel vector autoregression model is estimated using three main variables related to with profitability, financial liquidity, and financial leverage for 94 manufacturing companies from 2000 to 2017 in Indonesia. The aim is to examine the impact of oil price shocks on the ROA (profitability), CR (financial liquidity), and DER (financial leverage). The impulse reaction function of samples reveals some remarkable results. First, the response of ROA, DER, and CR appears to be consistent in many ways. Second, either Brent oil or WTI oil gives the same result for these variables. Third, financial liquidity for Indonesia manufacturing companies is not affected by the oil prices. The results obtained are robust following the GMM model in the estimation of the panel VAR.

Forecasting the Covolatility of Coffee Arabica and Crude Oil Prices: A Multivariate GARCH Approach with High-Frequency Data

Abstract: Forecasting the covolatility of asset return series is becoming the subject of extensive research among academics, practitioners, and portfolio managers. This paper estimates a variety of multivariate GARCH models using weekly closing price (in USD/barrel) of Brent crude oil and weekly closing prices (in USD/pound) of Coffee Arabica and compares the forecasting performance of these models based on high-frequency intraday data which allows for a more precise realized volatility measurement. The study used weekly price data to explicitly model covolatility and employed high-frequency intraday data to assess model forecasting performance. The analysis points to the conclusion that the varying conditional correlation (VCC) model with Student’s t distributed innovation terms is the most accurate volatility forecasting model in the context of our empirical setting. We recommend and encourage future researchers studying the forecasting performance of MGARCH models to pay particular attention to the measurement of realized volatility and employ high-frequency data whenever feasible.

Measuring efficiency of international crude oil markets: A multifractality approach

Abstract: The three major international crude oil markets are treated as complex systems and their multifractal properties are explored. The study covers daily prices of Brent crude, OPEC reference basket and West Texas Intermediate (WTI) crude from January 2, 2003 to January 2, 2014. A multifractal detrended fluctuation analysis (MFDFA) is employed to extract the generalized Hurst exponents in each of the time series. The generalized Hurst exponent is used to measure the degree of multifractality which in turn is used to quantify the efficiency of the three international crude oil markets. To identify whether the source of multifractality is long-range correlations or broad fat-tail distributions, shuffled data and surrogated data corresponding to each of the time series are generated. Shuffled data are obtained by randomizing the order of the price returns data. This will destroy any long-range correlation of the time series. Surrogated data is produced using the Fourier-Detrended Fluctuation Analysis (F-DFA). This is done by randomizing the phases of the price returns data in Fourier space. This will normalize the distribution of the time series. The study found that for the three crude oil markets, there is a strong dependence of the generalized Hurst exponents with respect to the order of fluctuations. This shows that the daily price time series of the markets under study have signs of multifractality. Using the degree of multifractality as a measure of efficiency, the results show that WTI is the most efficient while OPEC is the least efficient market. This implies that OPEC has the highest likelihood to be manipulated among the three markets. This reflects the fact that Brent and WTI is a very competitive market hence, it has a higher level of complexity compared against OPEC, which has a large monopoly power. Comparing with shuffled data and surrogated data, the findings suggest that for all the three crude oil markets, the multifractality is mainly due to long-range correlations.

Shocks and volatility transmission between oil price and Nigeria's exchange rate.

Abstract: The study examined shock and volatility transmission between oil price and exchange rate markets using daily data covering the period from 23rd October 2009 to 30th November 2020. The contributions of the paper include (i) implementation of VAR-AGARCH model to capture spillover effect of shock and volatility; (ii) examining the nature of shock impact in oil price and exchange rate market; (iii) adopting of two measured of oil price (WTI and Brent); (iv) employing two measures of the exchange rate (USD/Naira and effective/Naira). The study revealed that past own shocks and volatilities significantly contribute to current volatilities in exchange rate and oil price markets. Also, there is bidirectional shock and volatility spillover between the exchange rate (USD/Naira and effective/Naira) and WTI oil price markets. There were bidirectional shock and volatility spillover between USD/Naira and Brent oil price and unidirectional shock and volatility from Brent oil price to effective exchange rate market. We found asymmetric shocks impacting exchange rates and WTI oil price while symmetric shock was observed in Brent oil price. Including innovation in oil price is essential in exchange rate policy formulation and modelling exchange rate shock and volatility.

The Geopolitics of Oil Prices: Analyzing the Effects of Production and Investment on Global Oil Prices

Abstract: [ILLUSTRATION OMITTED] LEONARDO MAUGERI is a globally recognized expert on oil, gas, and energy. He is currently a senior associate with the Geopolitics of Energy Project and the Environment and Natural Resources Program at the Harvard Kennedy School of Government's Belfer Center for Science and International Affairs. He previously served as a top manager of Eni, a multinational oil and gas company and the largest company in Italy. In late January, the Harvard International Review sat down to talk about what went on behind the scenes when oil prices fell in November 2014 and how it has affected geopolitics since then. How would you describe the reasoning of Saudi Arabia to continue producing oil at high levels? Over a year ago, they started to consider two different scenarios for the price of Brent Crude oil: one scenario was for US$45 per barrel and the other was US$60 per barrel. I am told that for a while they did not believe that there was enough oil in the world, so sooner or later the price of oil would go up and up and up. But about one year ago, they started to study these two scenarios, and they saw that even in the case of the price of oil at US$45 per barrel, they could still manage the situation to a certain extent. Of course, we know now that this decision proved very costly because they had to drain US$10 million a month from their foreign currency reserves. At the time, however, they considered this a very unrealistic outcome, and they wanted to do something to eliminate the high cost production that exists in the world, so they had to consider the US$45 per barrel scenario. As time went by, they realized that the increase in production would continue. The Saudis admitted that I was correct in my original analysis that this overproduction was continuing, and they were convinced at some point that at US$75 a barrel they could displace most of the US shale oil production. I warned them that they were totally wrong because according to my studies, the break-even price of shale oil in the United States is much, much lower. Finally by November 2014, they subscribed to this logic: 'look, if we cut production, we only make a gift to the United States, Canada, and to high production countries. We have to simply help the market work and see what happens'. Consequently, they basically decided not to cut production. At the time, they were already shortening 2.5 million barrels a day of oil as spare capacity, and they decided not to cut any more. The market watched then, and the Saudis were ready to wage a war for one year, even at US$45 per barrel. Their thinking was: we will suffer, but the others will be destroyed. Essentially, Saudi Arabia will now wage this war of prices. As long as they are a significant part of excess production, the war is eliminated. However, this will not end well this year because most of the production will rise due to the fact that companies that have already spent a large part of their budget continue spending. They are cutting--it is true that they are cutting investment--but mainly in new exploration, for natural gas and for projects in their stock up phases. They are not cutting development or already developed fields at all. Therefore, the situation of bull prices will continue. Not everyone in Saudi Arabia agrees with this economic strategy, but this line of thinking was approved by King Abdullah bin Abdulazi, who died on January 23, 2015, and it was the result of decisions made by the minister of oil and the minister of finance. The king had complete trust in these two ministers, and it is difficult for anyone in Saudi Arabia to say something against the king, or even against the minister of oil and the minister of finance since they are the people the king held in the highest esteem. But what will happen to Saudi Arabia after the departure of King Abdullah? The new king, King Salman bin Abdulaziz, probably shares the same view as his predecessor. …